220
Views
1
CrossRef citations to date
0
Altmetric
Research Articles

Turn-of-the-month effect, FX influence, and efficient market hypothesis: new perspectives from the Johannesburg stock exchange

Pages 42-58 | Received 17 Nov 2020, Accepted 02 Sep 2021, Published online: 28 Sep 2021

References

  • Alexakis, P., and M. Xanthakis. 1995. Day of the week effect on the Greek stock market. Applied Financial Economics 5(1):43–50. doi:10.1080/758527670.
  • Alford, A., and D.M. Guffey. 1996. A re‐examination of international seasonalities. Review of Financial Economics 5(1):1–17. doi:10.1016/S1058-3300(96)90002-6.
  • Ariel, R.A. 1987. A monthly effect in stock returns. Journal of Financial Economics 18(1):161–74. doi:10.1016/0304-405X(87)90066-3.
  • Bai, J., and P. Perron. 1998. Estimating and testing linear models with multiple structural changes. Econometrica 66(1):47–78. doi:10.2307/2998540.
  • Brooks, C. 2014. Introductory econometrics for finance. Cambridge: Cambridge university press.
  • Brusa, J., and P. Liu. 2004. The day-of-the-week and the week-of-the-month effects: An analysis of investors’ trading activities. Review of Quantitative Finance and Accounting 23(1):19–30. doi:10.1023/B:REQU.0000037062.21050.3b.
  • Cadsby, C.B., and M. Ratner. 1992. Turn-of-month and pre-holiday effects on stock returns: Some international evidence. Journal of Banking and Finance 16(3):497–509. doi:10.1016/0378-4266(92)90041-W.
  • Chow, G.C. 1960. Tests of equality between sets of coefficients in two linear regressions. Econometrica: Journal of the Econometric Society 28(3):591–605. doi:10.2307/1910133.
  • Connolly, R.A. 1989. An examination of the robustness of the weekend effect. Journal of Financial and Quantitative Analysis 24(2):133–69. doi:10.2307/2330769.
  • Du Toit, E., J.H. Hall, and R.P. Pradhan. 2018. The day-of-the-week effect: South African stock market indices. African Journal of Economic and Management Studies 9(2):197–212. doi:10.1108/AJEMS-07-2017-0163.
  • Fama, E.F. 1970. Efficient capital markets: A review of theory and empirical work. The Journal of Finance 25(2):383–417. doi:10.2307/2325486.
  • Fama, E., and E. Blume. 1966. Filter rules and stock market trading. Journal of Business 39:226–41. doi:10.1086/294849.
  • Gossel, S.J., and N. Biekpe. 2012. The nominal rand/dollar exchange rate: Before and after 1995. Studies in Economics and Finance 29(2):105–17. doi:10.1108/10867371211229127.
  • Granger, C.W. 1981. Some properties of time series data and their use in econometric model specification. Journal of Econometrics 16(1):121–30. doi:10.1016/0304-4076(81)90079-8.
  • Kunkel, R.A., W.S. Compton, and S. Beyer. 2003. The turn-of-the-month effect still lives: The international evidence. International Review of Financial Analysis 12(2):207–21. doi:10.1016/S1057-5219(03)00007-3.
  • Lakonishok, J., and S. Smidt. 1988. Are seasonal anomalies real? A ninety-year perspective. The Review of Financial Studies 1(4):403–25. doi:10.1093/rfs/1.4.403.
  • Marsh, I.W. 2000. High‐frequency Markov switching models in the foreign exchange market. Journal of Forecasting 19(2):123–34. doi:10.1002/(SICI)1099-131X(200003)19:2<123::AID-FOR750>3.0.CO;2-C.
  • McConnell, J.J., and W. Xu. 2008. Equity returns at the turn of the month. Financial Analysts Journal 64(2):49–64. doi:10.2469/faj.v64.n2.11.
  • Narayan, P.K., S. Mishra, S. Narayan, and K. Thuraisamy. 2015. Is exchange rate trading profitable? Journal of International Financial Markets, Institutions and Money 38:217–29. doi:10.1016/j.intfin.2015.05.015.
  • Nelson, D.B. 1991. Conditional heteroskedasticity in asset returns: A new approach. Econometrica 59:347–70. doi:10.2307/2938260.
  • Schwert, G.W. 2003. Anomalies and market efficiency. Handbook of the Economics of Finance 1:939–74.
  • Sharma, S.S., and P.K. Narayan. 2014. New evidence on turn-of-the-month effects. Journal of International Financial Markets, Institutions and Money 29:92–108. doi:10.1016/j.intfin.2013.12.002.
  • Sweeney, R. 1988. Some filter rule tests: Methods and results. Journal of Financial and Quantitative Analysis 23(3):285–300. doi:10.2307/2331068.
  • Vasileiou, E. 2015. long live day of the week patterns and the financial trends’ role. Evidence from the greek stock market during the Euro Era (2002-12). Investment Management and Financial Innovations 12(3).
  • Vasileiou, E., and A. Samitas. 2015. Does the financial crisis influence the month and the trading month effects? Evidence from the athens stock exchange. Studies in Economics and Finance 32(2):181–203. doi:10.1108/SEF-01-2014-0002.
  • Vasileiou, E. 2017. Revising the turn-of-the-month effect study: Why does it fade and reappear? Practical policy implications and thoughts for further research. International Journal of Banking Accounting and Finance 8(2):146–73.
  • Vasileiou, E. 2018. Is the turn of the month effect an “abnormal normality”? Controversial findings, new patterns and … hidden signs (?). Research in International Business and Finance 44:153–75. doi:10.1016/j.ribaf.2017.07.057.
  • Ziemba, W.T. 1991. Japanese security market regularities: Monthly, turn-of-the-month and year, holiday and golden week effects. Japan and the World Economy 3(2):119–46. doi:10.1016/0922-1425(91)90001-S.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.